Heat your grill or stovetop grill pan to medium-high heat.
Coat the corn with olive oil by using a brush and season with salt and pepper.
Place the corn on the grill and cook for about 10-12 minutes, turning occasionally, until the kernels are lightly charred and tender.
While the corn is grilling, prepare the sauce. In a mixing bowl, combine mayonnaise, sour cream, lime juice, chili powder, paprika, and cayenne pepper (if using). Mix well until smooth and creamy.
Once the corn is cooked, remove it from the grill and let it cool slightly. If desired, insert skewers into the ends of the corn cobs for easy handling.
Using a brush or spoon, generously apply the prepared sauce to each ear of corn, ensuring thorough coverage from all sides.
Sprinkle the corn with chopped cilantro and crumbled cotija cheese (or feta cheese).
Serve the Mexican street corn on a platter, garnished with lime wedges for squeezing over the corn. Enjoy it while it's still warm.